Estimation of Generalized Variance Under an Asymetric Loss Function “Squared Log Error”

DOI10.1080/03610920500498832zbMath1094.62066OpenAlexW2095033367MaRDI QIDQ5484652

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Publication date: 21 August 2006

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920500498832

zbMATH Keywords

covariance matrixminimaxitydigamma functioninverse Wishart distribution

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15) Admissibility in statistical decision theory (62C15)

Cites Work

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• Estimation of a covariance matrix under Stein's loss
• An improved estimator of the generalized variance
• Estimating the covariance matrix: A new approach
• Improving on equivariant estimators
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• Equivariant estimators of the covariance matrix
• Inadmissibility of the Usual Estimators of Scale parameters in Problems with Unknown Location and Scale Parameters

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